I heard about this Upper Manhattan store (take the A to the last stop and it's right down Broadway) through a friend who equated it to a supermarket of liqour, walking up to the place I could see why. Okay, it looked like a NYC market, not one of those megamarkets out in the suburbs, but still it was quite large.
The great thing about PJ's was the selection. With a place that large you can find things that other retailers don't offer. In my quick run through I found some choice finds like Movia, the Slovenian winemaker, and a large selection of vermouths including the nearly impossible to find bianco style sweet white vermouth.
They've also got a friendly helpful staff who are good for recommending a vintage if you're looking for a particular style and give honest everyday opinions (read: they're not just pushing the expensive stuff).